I'm playing with a blues band at a local bar, walking distance from my house. At the end of the gig, I start packing up some gear and when I return to the stage I discover that my chromatic harmonica has been stolen. I spend the next 30 minutes looking for it before giving up and walking home.

Later that night, I'm sitting on my front porch, about a half-mile away. I hear someone walking down the street in front of my house, playing a chromatic harmonica. Poorly.
I decide to follow the sound, and discover it's a group of 4 college-aged guys. Keep in mind that I'm alone, unarmed, and not particularly well schooled in less polite types of discourse.

"Excuse me guys," I said, "but were you at ****** tonight?"
"Yeah, we were. It was awesome!"
"Great! I'm glad you had fun. I was playing with the band, and I can't seem to find... my harmonica. Could any of you guys help me out with this?"

At this point, one of the guys produces my chromatic harmonica from his pants pocket and nervously says "Oh yeah, I.. uh.. found this on the ground outside. Do you want it?"
"Absolutely. Thank you guys very much, and have a wonderful evening," I said, and walked away, harmonica in my pocket.

I probably could have caused a scene, and I may have exacted some revenge, but I had my instrument back in my pocket and it was a polite situation, so I decided to leave it as such. If only it were always that easy to recover stolen gear.. and have it inadvertently delivered back to your house.